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House Prices and Bubbles in New Zealand
16 references·0 citing·37 second hop
House Prices and Bubbles in New Zealand (2007)House Prices and Bubbles in New ZealandIs There a Bubble in the Housing Market? (2003)Is There a Bubble in the Hous…Owner-Occupied Housing and the Composition of the Household Portfolio (2002)Owner-Occupied Housing and th…Comparing Wealth Effects: The Stock Market Versus the Housing Market (2001)Comparing Wealth Effects: The…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Bubbles in Metropolitan Housing Markets (1994)Bubbles in Metropolitan Housi…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…On estimating the expected return on the market (1980)On estimating the expected re…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Illiquidity and stock returns: cross-section and time-series effects (2002)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 2003Is There a Bubble in the Housing Market?1,311 cited
  • 2002Owner-Occupied Housing and the Composition of the Household Portfolio832 cited

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  • 2001Comparing Wealth Effects: The Stock Market Versus the Housing Market732 cited
  • 1994Bubbles in Metropolitan Housing Markets541 cited
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